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Abstract: We explore whether there are common factors in the cross-section of the commodity futures expected returns. We test various asset pricing models which have been employed for the equities market as well as models motivated by commodity pricing theories. The application of most of the models under scrutiny within a cross-sectional commodity setting is novel. The use of these families of models is appealing for our purposes and it allows us also to test whether markets are integrated. In addition, we employ Principal Components factor models which do not require à priori specification of factors. We find that none of the models is successful. Our results imply that the commodity markets are segmented from the equities market and they are significantly heterogeneous per se.
George Skiadopoulos
Bio sketch: George Skiadopoulos is Associate Professor in Financial Derivatives at the University of Piraeus in the Department of Banking and Financial Management. He is also a Visiting Reader in the School of Economics and Finance at Queen Mary, University of London, an Associate Research Fellow at the Financial Options Research Centre (FORC) of Warwick Business School, University of Warwick, and an Honorary Senior Visiting Fellow at Cass Business School, City University.
Before joining academia, George worked in the R&D department of the Athens Derivatives Exchange. He has also acted as a consultant to hedge funds and leading Greek financial institutions. He has taught at a number of UK and Greek Universities and he has provided a number of executive training courses in Athens, London, and Barcelona. His research interests lie in the areas of asset allocation, commodities, financial derivatives and their informational content, and risk management. His work has been published in academic journals such as the Management Science, Journal of Financial and Quantitative Analysis, Journal of Banking and Finance, and the International Journal of Forecasting. He serves in the editorial Boards of the Journal of Banking and Finance, Journal of Business Finance and Accounting, and of the Journal of Derivatives.
George holds a B.Sc. from the Department of Economics of the Athens University of Economics and Business (first class degree, ranked first in his graduating class), an M.Sc. in Mathematical Economics and Econometrics from the London School of Economics, and a Ph.D. from the University of Warwick.
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